MELLIN TRANSFORM METHOD FOR THE VALUATION OF AMERICAN POWER PUT OPTION
Date
2017-05
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
Abstract
An
p (Sn
t ; t) =
1
2 i Z c+i1
ci1
K!+1
!(! + 1)
e
1
2n2 2(!2+ 1! 2)(Tt)(Sn
t )!d!
+
rK
2 i Z c+i1
ci1 Z T
t
(Sn
t )! ( Sn
y )!
!
e
1
2n2 2(!2+ 1 ! 2)(yt)dyd!
q
2 i Z c+i1
ci1 Z T
t
(Sn
t )! ( Sn
y )!+1
! + 1
e
1
2n2 2(!2+ 1 ! 2)(yt)dyd!
Description
A Thesis in the Department of Mathematics, Submitted to the Faculty of Science in partial fulfillment of the requirements for the Degree of DOCTOR OF PHILOSOPHY of the UNIVERSITY OF IBADAN
Keywords
American power put option,, Geometric Brownian motion, Ito's lemma, Non-homogeneous Black-Scholes-Merton-like equation, Value-matching condition